Quantitative Risk Management: A Practical Guide to Financial Risk, + Website

Index

Activity-related operational risks

Actuarial approach

operational loss measurement

and risk measurement

risk-neutral approach vs.

and risk pricing

Aczel, Amir D.

Advanced measurement approach (AMA), capital charges

Aggregating risk, summary measures

AIB/Allfirst Financial trading loss (2002)

AIG Financial Products (FP) trading loss (2008)

All-or-nothing contribution to risk

Amaranth Advisors trading loss (2006)

Ambiguity aversion. See uncertainty/randomness

American Alpine Club

Aracruz Celulose trading loss (2008)

ARCH (autoregressive conditionally heteroscedastic) model

Ars Conjectandi (Bernoulli)

Askin Capital Management trading loss (1994)

Asset liquidity risk

costs/benefits of liquidation

defined

evaluating

Asset-to-risk factor mapping

conceptual models

FX example

for single bond position

Asymmetric (skewed) distribution

and credit risk modeling

credit vs. market risk

and volatility

Asymmetric information

historical vs. future data

principal-agent issues

Autoregressive conditionally heteroscedastic (ARCH) model

Avalanche response, as risk management model

Back-office procedures

effective risk management

as source of operational risk

Bagehot, Walter

Bank for International Settlements (BIS)

Bankhaus Herstatt trading loss (1974)

Bank of Montreal trading loss (2007)

Banks

commercial, regulations governing

corporate structure and risk management

defining assets, capital holdings

and funding liquidity risk

measuring and managing liquidity

operational risk

Barings Bank failure ...